Early SOFR/Treasury Option Roundup, 10Y Calls

SOFR and Treasury option trade looked mixed on light volume overnight, better upside 10Y call interest in the leadup to this afternoon's FOMC policy annc. Underlying futures mildly higher, projected rate cut pricing steady to mildly higher in June/July: March 2024 chance of 25bp rate cut currently -0.8% w/ cumulative of -0.02bp at 5.328%; May 2024 at -8.3% w/ cumulative -2.3bp at 5.307%; June 2024 -58.6% vs. -56.0% late Tuesday w/ cumulative cut -16.9bp at 5.160%. July'24 cumulative -27.2bp at 5.057%.

• SOFR Options:
  • 1,000 SFRM4 94.81/94.93/95.06 call flys ref 94.86
  • 2,250 SFRM4 94.75 puts ref 94.86
  • 2,500 SFRZ4 94.50/94.62 2x1 put spds, ref 95.425
  • 2,000 SFRU4 95.12 puts ref 95.125
• Treasury Options:
  • 10,500 TYK4 110.5/111.5 1x2 call spds ref 110-08.5 to -09
  • 1,000 USK4 113/115/116 broken put trees ref 118-27
  • 1,300 TYK4 111/113 call spds vs. TYK4 108 puts, ref 110-08.5
  • 2,000 FVJ4 106.75/107.25/107.5 broken call trees ref 106-21.5
  • 2,000 wk4 FV/FVJ4 107 call spds